### 18.1 General comments on random numbers

In 1988, Park and Miller wrote a paper entitled “Random number
generators: good ones are hard to find.” [Commun. ACM, 31, 1192–1201].
Fortunately, some excellent random number generators are available,
though poor ones are still in common use. You may be happy with the
system-supplied random number generator on your computer, but you should
be aware that as computers get faster, requirements on random number
generators increase. Nowadays, a simulation that calls a random number
generator millions of times can often finish before you can make it down
the hall to the coffee machine and back.

A very nice review of random number generators was written by Pierre
L’Ecuyer, as Chapter 4 of the book: Handbook on Simulation, Jerry Banks,
ed. (Wiley, 1997). The chapter is available in postscript from
L’Ecuyer’s ftp site (see references). Knuth’s volume on Seminumerical
Algorithms (originally published in 1968) devotes 170 pages to random
number generators, and has recently been updated in its 3rd edition
(1997).
It is brilliant, a classic. If you don’t own it, you should stop reading
right now, run to the nearest bookstore, and buy it.

A good random number generator will satisfy both theoretical and
statistical properties. Theoretical properties are often hard to obtain
(they require real math!), but one prefers a random number generator
with a long period, low serial correlation, and a tendency *not* to
“fall mainly on the planes.” Statistical tests are performed with
numerical simulations. Generally, a random number generator is used to
estimate some quantity for which the theory of probability provides an
exact answer. Comparison to this exact answer provides a measure of
“randomness”.